The Relationship between Fund Managers’ Herding Behavior and Stock Returns —The Case of Open-end High-tech Funds in Taiwan

[[abstract]]隨著理財觀念的先進，愈來愈多的投資人以共同基金做為主要的理財工具，使得基金經理人的操作績效成為投資人所關注的焦點。然而當基金經理人面臨績效的壓力與對手競爭等因素，導致其可能會同時買入或賣出同一股票，稱之「群集行為」。本研究依循Lakonishok, Shleifer and Vishny（1992）與Wermers（1999）之研究方法，探討我國基金經理人的交易是否存在群集行為，並衡量群集行為對股市之波動性的影響。本研究之實證結果如下： 1.基金經理人存在著群集行為，但若以買賣力量劃分不同的群集力量，則呈現出基金經理人於樣本觀察期間有群集買入行為與群集賣出的行為，尤以群集賣出程度較群集買入程度明顯。 2.當股票有前期超額報酬時，基金經理人會大量地群集買入或產生買超之情況；而當股票無前期超額報酬時，則會大量群集賣出或產生賣超之情況。 3.群集買入時之追漲程度大於群集賣出時之殺跌程度，表示基金經理人會採取正向操作策略。[[abstract]]Once fund managers have to face fund performance and profession challenge, the managers procured the behavior of purchasing or selling in the same stock. Following Lakonishok, Shleifer and Vishny (1992) and Wermers (1999), this paper examines the evidences of herding behavior among fund managers, and explores its impact on the stock market. First, the empirical results show that fund managers of open high-tech stocks exists the herding behavior. Besides, the herding behavior of selling stocks is more significant than that of buying stocks. Second, fund managers take positive feedback trading strategies